Transcription of ECONOMIC CAPITAL MODEL VALIDATION - …
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ECONOMIC CAPITAL MODEL VALIDATION - …
ECONOMIC CAPITALMODEL VALIDATIONM arkus StrickerWillis ECONOMIC CAPITAL ForumDavid SimmonsWillis ReDave IngramWillis ReContentsAbstract ..1 Section I: Introduction ..2 Section II: Motivations for MODEL VALIDATION ..3 Lessons from the banking industry ..3 Insurance regulation ..3 Rating agencies ..5 Section III: Structuring a VALIDATION process: what, who, What: assessing the level of MODEL risk ..7 Who should validate? ..8 How: an overview ..8 Section IV: Proposed VALIDATION process ..9 1. Conceptual risk ..9 2. Implementation risk.
validation from different viewpoints: regulators, management, rating agencies and parallel developments in the banking sector. Validation is a necessity, and yet
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Basel Committee on Banking Supervision Working, Validation of Internal Rating Systems, Validation, Validation of Credit Rating and Scoring Models, Validation systems, Systems, Model risk management and validation, Methodology for Assessing Procurement Systems, The Basel II Risk Parameters, Model risk management for insurers